dcc_est: Dynamic conditional correlations

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

This function returns dynamic conditional correlations based on the parameters specified.

Usage

    dcc.est(dvar, param)

Arguments

dvar	a matrix of the standardised residuals (T \times N)
param	a vector of the DCC parameters (2 \times 1)

Value

a list with components:

DCC	a matrix of the dynamic conditional correlations (T \times N^{2})
Q	a matrix of the \mathbf{Q}_{t} (T \times N^{2})

Note

a constant matrix \mathbf{Q} in the DCC equation is computed by \mathbf{Q}=cov(dvar).

References

Engle, R.F. and K. Sheppard (2001), “Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH.” Stern Finance Working Paper Series FIN-01-027 (Revised in Dec. 2001), New York University Stern School of Business.

Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339–350.

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.